Probability Analysis: Tools for SPY Options Pricing
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Sep 25 (1D) | Sep 26 (2D) | Sep 29 (5D) | Sep 30 (6D) | Oct 01 (7D) | Oct 02 (8D) | Oct 03 (9D) | Oct 06 (12D) | Oct 07 (13D) | Oct 08 (14D) | Oct 10 (16D) | Oct 17 (23D) | Oct 24 (30D) | Oct 31 (37D) | Nov 07 (44D) | Nov 14 (51D) | Nov 21 (58D) | Nov 28 (65D) | Dec 05 (72D) | Dec 12 (79D) | Dec 19 (86D) | Dec 26 (93D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 655.025 | 652.655 | 647.954 | 646.733 | 645.610 | 644.565 | 643.584 | 640.929 | 640.120 | 639.341 | 637.864 | 633.311 | 629.413 | 625.949 | 622.800 | 619.893 | 617.180 | 614.626 | 612.206 | 609.901 | 607.697 | 605.580 |
| upper | 666.465 | 668.835 | 673.536 | 674.757 | 675.880 | 676.925 | 677.906 | 680.561 | 681.370 | 682.149 | 683.626 | 688.179 | 692.077 | 695.541 | 698.690 | 701.597 | 704.310 | 706.864 | 709.284 | 711.589 | 713.793 | 715.910 |
| expected move | 5.720 | 8.090 | 12.791 | 14.012 | 15.135 | 16.180 | 17.161 | 19.816 | 20.625 | 21.404 | 22.881 | 27.434 | 31.332 | 34.796 | 37.945 | 40.852 | 43.565 | 46.119 | 48.539 | 50.844 | 53.048 | 55.165 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
